A Closed-Form GARCH Option Valuation Model
Year of publication: |
[2001]
|
---|---|
Authors: | Heston, Steven L. |
Other Persons: | Nandi, Saikat (contributor) |
Publisher: |
[2001]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (73 p) |
---|---|
Type of publication: | Book / Working Paper |
Notes: | In: Review of Financial Studies |
Other identifiers: | 10.2139/ssrn.210009 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
The term structure of risk premia
Berg, Tobias, (2010)
-
A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de, (2010)
-
Optimal Shortfall Hedging of Credit Risk
Lotz, Christopher, (1999)
- More ...
-
Preference-free option pricing with path-dependent volatility: A closed-form approach
Heston, Steven L., (1998)
-
Heston, Steven L., (1999)
-
Derivatives on volatility: some simple solutions based on observables
Heston, Steven L., (2000)
- More ...